The Bahadur risk in probability density estimation

Korostelev Alexander

Statistics & Risk Modeling, 2003, vol. 21, issue 2, 139-148

Abstract: A nonparametric probability density estimation problem is studied for the Bahadur-type risk under the sup-norm losses. The risk is minimax over the Hölder classes of densities. The large sample limiting performance of this risk is found, and the links to asymptotic equivalent white-noise models are discussed.

Date: 2003
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DOI: 10.1524/stnd.21.2.139.19002

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